On the “Smart Card or other Certificate Properties” tab, choose “Use a certificate on this computer”. Uncheck “Verify the server’s identity by validating the certificate” if you are using a self-signed certificate.

At the first attempt to connect, you are asked to choose your client certificate.

Trouble shooting

Error message:

The certificate's CN name does not match the passed value.

Solution

Use FQDN of your Azure network gateway.
My steps:

Download and install VPN client configuation file from Azure

View \AppData\Roaming\Microsoft\Network\Connections\Pbk and find the FQDN